Publications

Publications by Jon Gregory

PDFNOTE: The files below are all saved as PDF documents.

 

TitleType of ArticleYear
Gregory, J., "xVA goes mainstream"
xVA Mainstream Jan17
Working paper2017
Gregory, J., "The Impact of Initial Margin"
InitialMarginPaper July16
Working paper2016
Gregory, J., "Marginally Conservative?"
CCP Paper Sept15
Working paper2015
Gregory, J., 2014, "Why CDOs Work", Risk, May.
Why CDOs Work May14
Paper2014
Gregory, J., and I. German, 2012, “Closing out DVA”, Risk, January
ClosingOutDVA_September2012
Paper2012
Gregory J., 2011, "Counterparty risk in credit derivative contracts", The Oxford Handbook of Credit Derivatives, A. Lipton and A. Rennie (Eds), Oxford University Press.
Counterparty-Risk-in-Credit-Derivative-Contracts-Updated
Book Chapter2011
Vrins, F., and J. Gregory, 2011, “Getting CVA up and running”, Risk, November
VrinsGregory_RunningCVA
Paper2011
J. K. Gregory, 2009, “Being two faced over counterparty credit risk”, Risk 22 (2), pages 86-90.
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Two-Faced_Over_CCR
Paper2009
J.-P. Laurent and J. K. Gregory, “A comparative analysis of CDO pricing models”, 2008, in "The Definitive Guide to CDOs", G. Meissner (ed.), Chapter 15, 389-427, Risk Books.Paper2008
J. K. Gregory and J.-P. Laurent, “Practical pricing of synthetic CDOs”, 2008, in "The Definitive Guide to CDOs", G. Meissner (ed.), Chapter 9, 223-257, Risk Books.

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Practical_Pricing_of_Synthetic_CDOs
Paper2008
J. K. Gregory, 2008, “A free lunch and the credit crunch”, August, pages 74-77.

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A_Free_Lunch_and_the_Credit_Crunch
Paper2008
J. K. Gregory, 2008, “A trick of the credit tail”, Risk, March, pages 88–92.

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A_Trick_of_the_Credit_Tail
Paper2008
X. Burtschell, J.K. Gregory and J.-P. Laurent, 2007, “ Beyond the Gaussian copula: stochastic and local correlation”, Journal of Credit Risk, Vol. 3, No. 1, pp. 31-62.

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Stochastic_Local_Correlation_Updated_January_2007
Paper2007
J-.P. Laurent and J. K. Gregory, 2005, “Basket Default Swaps, CDOs and Factor Copulas”, Journal of Risk, Vol. 7, No. 4, pp. 103-122.

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Basket_Default_Swaps_CDOs_and_Factor_Copulas_2003
Paper2005
J. K. Gregory and J.-P. Laurent, 2004, “In the core of correlation”. Risk, Vol. 17, No. 10, pp. 87-91.

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In_the_Core_of_Correlation
Paper2004
J. K. Gregory and J.-P. Laurent, 2003, “I will survive”, Risk, June, 103-107 also published in "Derivatives Trading and Option Pricing", N. Dunbar (ed.), Chapter 8, 129-145, Risk Books, 2005 and in "Theory and Practice of Credit Risk Modelling", A. Lipton (ed.), Chapter 14, 211-226, Risk Publications, 2008.Paper2003
A. Arvanitis, J. K. Gregory and R.J. Martin, 2000, “Hedging Financial Risks Subject to Asymmetric Information”, The Journal of Risk Finance, Volume 1, Issue 2, p. 9-18.Paper2000
Arvanitis, A, J. K. Gregory, and J.-P Laurent, "Building Models For Credit Spreads", Journal of Derivatives, Vol. 6, No. 3, (Spring 1999), pp. 27-43.Paper1999
A. Arvanitis, C. Browne, J. K. Gregory, R.J. Martin, 1998, “A Credit Risk Toolbox”, Risk, December (1998).Paper1998
J. K. Gregory, 2010, "Are we building the foundations for the next crisis already? The case of central clearing", May.

CCP_Article
Working paper2010
"Counterparty Casino: The need to address a systemic risk"

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counterparty_casino__the_need_to_address_a_systemi
Working paper2010
"Towards active management of Counterparty Credit Risk with CVA", white paper written with Algorithmics.

Click on link below to download.

http://www.algorithmics.com/en/solutions/cva.cfm
Working paper2010
"Gaining from your own default - counterparty credit risk and DVA", article written with Intedelta.

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http://www.intedelta.com/publications/gaining-your-own-default-counterparty-credit-risk-and-dva
Working paper2009
J. K. Gregory, 2009, "Gaining from your own default - counterparty risk and DVA", article written together with Intedelta, November. Link HereWorking paper2009
"The evolution of counterparty credit risk - an insider's view", white paper with Quantifi.

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http://www.quantifisolutions.com/derivatives-week-evolution-of-counterparty-credit-risk--an-insiders-view.aspx
Working paper2009
"Credit value adjustment and the changing environment for pricing and managing counterparty risk", white paper written with Algorithmics.

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Algo-WP1209-CVASurvey
Working paper2009
J. K. Gregory, 2008, “Credit Challenge”, Risk Magazine, January 2008.Paper2008
J. K. Gregory, 2008, “Credit Tails”, Risk Magazine, July 2007.

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Credit_Tails
Paper2008
J. K. Gregory, 2014, "Central Counterparties: Mandatory Central Clearing and Initial Margin Requirements for OTC Derivatives", John Wiley & Sons

Details
Books2014
J. K. Gregory, 2012,"Counterparty credit risk and credit value adjustment: A continuing challenge for global financial markets - Second Edition", John Wiley and Sons.

Details
Books2012
J. K. Gregory, 2009, “Counterparty Risk: The New Challenge for Global Financial Markets”, John Wiley and Sons.Books2009
J. K. Gregory (Ed), 2003, “Credit Derivatives: A Definitive Guide”, Risk BooksBooks2003
A. Arvanitis & J. K. Gregory, 2001, “Credit: The Complete Guide to Pricing, Hedging and Risk Management”, Risk BooksBooks2001
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